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https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12795667#action_12795667
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Larry Diamond commented on MATH-323:
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Thanks - I'll hopefully get this over the weekend. Those annoying people who
pay me a salary have been actually consuming me time recently and I havent
gotten done what I hoped.
Clearly, step one is those "Documentation Goes Here" bits. Getting those in
there would clarify your third point and I see is ***KEY*** to publicly
reusable software.
I agree with not using AbstractStorelessUnivariateStatistic - I have to read
over AbstractUnivariateStatistic to make sure I can use it. I'd like to extend
something in the package.
I'll look at the UnivariateStatistic to see the constructors. I can see that
you'd want to calculate Upward and Downward on the same data (and really the
full variance too), although yeah, once you have one you automatically have the
other (full - downward = upward).
Clearly, those documentation bits would make what I'm talking about much
clearer to all readers of this post.
Thanks for the note on the not using boolean there. There was just no way that
I could have people try to remember which direction was true and which
direction was false. That's just silly and cruel.
> Add Semivariance calculation
> ----------------------------
>
> Key: MATH-323
> URL: https://issues.apache.org/jira/browse/MATH-323
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.1
> Reporter: Larry Diamond
> Assignee: Phil Steitz
> Priority: Minor
> Fix For: 2.1
>
> Attachments: patch.txt, patch2.txt, SemiVariance.java,
> SemiVarianceTest.java, StatUtils.java, StatUtils.java, StatUtilsTest.java,
> StatUtilsTest.java
>
>
> I've added semivariance calculations to my local build of commons-math and I
> would like to contribute them.
> Semivariance is described a little bit on
> http://en.wikipedia.org/wiki/Semivariance , but a real reason you would use
> them is in finance in order to compute the Sortino ratio rather than the
> Sharpe ratio.
> http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the
> Sortino ratio and why you would choose to use that rather than the Sharpe
> ratio. (There are other ways to measure the performance of your portfolio,
> but I wont bore everybody with that stuff)
> I've already got the coding completed along with the test cases and building
> using mvn site.
> The only two files I've modified is
> src/main/java/org/apache/commons/stat/StatUtils.java and
> src/test/java/org/apache/commons/math/stat/StatUtilsTest.java
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